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Indicator of uncertainty in the US equity market (S&P 500) (FSR 2020)
Path :| Time series key | BBQFS.D.US.0000.STOCK_UNC._X.0000 |
| Unit | |
| Dimension | one |
| Timespan | from 2019-01-01 to 2020-09-24 |
| Last update | 24.11.2021 12:12:23 PM |
| Methodology | The squared deviation of the equity price from an estimated value (conditional variance) is shown. The estimate is based on the variation of credit and volatility indices, government bond yields and temporal effects. The devaition represents price developments that cannot be explained by the estimation. It can be interpreted as a non-diversifiable risk or as an indicator of uncertainty. |
| Source | Bloomberg, Markit and Bundesbank calculations. |